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There are 46097 results for: content related to: Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

  1. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

    The Journal of Finance

    Volume 65, Issue 2, April 2010, Pages: 603–653, TORBEN G. ANDERSEN and LUCA BENZONI

    Article first published online : 19 MAR 2010, DOI: 10.1111/j.1540-6261.2009.01546.x

  2. You have free access to this content
    Are Stocks Really Less Volatile in the Long Run?

    The Journal of Finance

    Volume 67, Issue 2, April 2012, Pages: 431–478, ĽUBOŠ PÁSTOR and ROBERT F. STAMBAUGH

    Article first published online : 27 MAR 2012, DOI: 10.1111/j.1540-6261.2012.01722.x

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    The Cross-Section of Volatility and Expected Returns

    The Journal of Finance

    Volume 61, Issue 1, February 2006, Pages: 259–299, ANDREW ANG, ROBERT J. HODRICK, YUHANG XING and XIAOYAN ZHANG

    Article first published online : 20 JAN 2006, DOI: 10.1111/j.1540-6261.2006.00836.x

  4. ON ESTIMATING STOCK MARKET VOLATILITY: AN EXPLORATORY APPROACH

    Journal of Financial Research

    Volume 18, Issue 4, Winter 1995, Pages: 449–463, John A. MacDonald and Hany A. Shawky

    Article first published online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1995.tb00577.x

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    Why Does Stock Market Volatility Change Over Time?

    The Journal of Finance

    Volume 44, Issue 5, December 1989, Pages: 1115–1153, G. WILLIAM SCHWERT

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1989.tb02647.x

  6. Carry Trades and Global Foreign Exchange Volatility

    The Journal of Finance

    Volume 67, Issue 2, April 2012, Pages: 681–718, LUKAS MENKHOFF, LUCIO SARNO, MAIK SCHMELING and ANDREAS SCHRIMPF

    Article first published online : 27 MAR 2012, DOI: 10.1111/j.1540-6261.2012.01728.x

  7. The Dynamic Relation Between Returns and Idiosyncratic Volatility

    Financial Management

    Volume 35, Issue 2, June 2006, Pages: 43–65, Xiaoquan Jiang and Bong-Soo Lee

    Article first published online : 27 OCT 2008, DOI: 10.1111/j.1755-053X.2006.tb00141.x

  8. What risks do corporate bond put features insure against?

    Journal of Futures Markets

    Volume 32, Issue 11, November 2012, Pages: 1060–1090, Redouane Elkamhi, Jan Ericsson and Hao Wang

    Article first published online : 6 SEP 2011, DOI: 10.1002/fut.20546

  9. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

    The Journal of Finance

    Volume 68, Issue 5, October 2013, Pages: 1805–1841, LORIANO MANCINI, ANGELO RANALDO and JAN WRAMPELMEYER

    Article first published online : 10 SEP 2013, DOI: 10.1111/jofi.12053

  10. Good News, Bad News, Volatility, and Betas

    The Journal of Finance

    Volume 50, Issue 5, December 1995, Pages: 1575–1603, PHILLIP A. BRAUN, DANIEL B. NELSON and ALAIN M. SUNIER

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1995.tb05189.x

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    Learning about Consumption Dynamics

    The Journal of Finance

    Accepted manuscript online: 27 JAN 2015, MICHAEL JOHANNES, LARS A. LOCHSTOER and YIQUN MOU

    DOI: 10.1111/jofi.12246

  12. Variable Selection for Portfolio Choice

    The Journal of Finance

    Volume 56, Issue 4, August 2001, Pages: 1297–1351, Yacine Aït-Sahalia and Michael W. Brandt

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00369

  13. Predicting stock market volatility: A new measure

    Journal of Futures Markets

    Volume 15, Issue 3, May 1995, Pages: 265–302, Jeff Fleming, Barbara Ostdiek and Robert E. Whaley

    Article first published online : 28 AUG 2006, DOI: 10.1002/fut.3990150303

  14. Volatility, the Macroeconomy, and Asset Prices

    The Journal of Finance

    Volume 69, Issue 6, December 2014, Pages: 2471–2511, RAVI BANSAL, DANA KIKU, IVAN SHALIASTOVICH and AMIR YARON

    Article first published online : 10 NOV 2014, DOI: 10.1111/jofi.12110

  15. A Test of the Conditional CAPM with Simultaneous Estimation of the First and Second Conditional Moments

    Financial Review

    Volume 31, Issue 3, August 1996, Pages: 475–498, David M. Ellis

    Article first published online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.1996.tb00882.x

  16. Pricing VIX futures: Evidence from integrated physical and risk-neutral probability measures

    Journal of Futures Markets

    Volume 27, Issue 12, December 2007, Pages: 1175–1217, Yueh-Neng Lin

    Article first published online : 9 OCT 2007, DOI: 10.1002/fut.20291

  17. Mutual Fund Performance: Measurement and Evidence

    Financial Markets, Institutions & Instruments

    Volume 19, Issue 2, May 2010, Pages: 95–187, Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan

    Article first published online : 16 APR 2010, DOI: 10.1111/j.1468-0416.2010.00156.x

  18. Discussion

    The Journal of Finance

    Volume 56, Issue 4, August 2001, Pages: 1240–1245, Zhenyu Wang

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00366

  19. Intradaily periodicity and volatility spillovers between international stock index futures markets

    Journal of Futures Markets

    Volume 25, Issue 6, June 2005, Pages: 553–585, Chunchi Wu, Jinliang Li and Wei Zhang

    Article first published online : 8 APR 2005, DOI: 10.1002/fut.20155

  20. Expected Idiosyncratic Volatility Measures and Expected Returns

    Financial Management

    Volume 41, Issue 3, Fall 2012, Pages: 519–553, Jason D. Fink, Kristin E. Fink and Hui He

    Article first published online : 24 JUL 2012, DOI: 10.1111/j.1755-053X.2012.01209.x